This paper investigates the presence of beta anomaly in the Indian market and tries to explore the reasons behind its existence. The beta anomaly does exist in India, but the negative relationship between beta and alpha is not because of the positive relationship between beta and idiosyncratic volatility (IVOL) and negative between IVOL and alpha. Further, on the basis of raw returns, the betting against beta (BAB) premium is very small in comparison with size and value premiums. Size effect is the strongest with a difference of 2.7% per month between small and big stock returns. On risk adjusted basis (CAPM), BAB premium is less than one-fourth of the size premium. But, market, size and value factors alone are not able to explain the variation in returns of low beta stocks. The introduction of the BAB factor in the Fama-French 3 factor model makes the alpha zero. In sum, the presence of BAB effect is observed in the Indian market though it is very small in respect to the size effect. Transaction costs may easily nullify the BAB premium.

本文调查了印度市场中β异常的存在，并试图探讨其存在背后的原因。印度确实存在 beta 异常，但 beta 和 alpha 之间的负相关关系并不是因为 beta 和特殊波动率 (IVOL) 之间呈正相关，而 IVOL 和 alpha 之间呈负相关。此外，基于原始收益，与规模和价值溢价相比，对beta（BAB）溢价的押注非常小。规模效应最强，小股票和大股票的回报每月相差 2.7%。在风险调整基础上 (CAPM)，BAB 溢价不到规模溢价的四分之一。但是，仅凭市场、规模和价值因素并不能解释低贝塔股票的回报变化。Fama-French 3 因子模型中引入 BAB 因子使得 alpha 为零。总之，在印度市场观察到 BAB 效应的存在，尽管它在规模效应方面非常小。交易成本很容易抵消 BAB 溢价。